Link to Sphinx documentation for benchmarks

python/README.md

@@ -76,6 +76,8 @@ pytest pyarrow --help
 
 and look for the "custom options" section.
 
+For running the benchmarks, see the [Sphinx documentation][5].
+
 ### Building the documentation
 
 ```bash
@@ -86,3 +88,4 @@ python setup.py build_sphinx -s ../docs/source
 [2]: https://github.com/apache/arrow/blob/master/docs/source/python/development.rst
 [3]: https://github.com/pandas-dev/pandas
 [4]: https://docs.pytest.org/en/latest/
+[5]: https://arrow.apache.org/docs/latest/python/benchmarks.html